| Note that these indices are experimental; the absolute and relative daily values are expected to change in the final version. In this version, index values are based at 1,000.0 on 2006-6-30 | |||||||
| Index | Mean Current Yield (at bid) | Mean YTW | Mean Average Trading Value | Mean Mod Dur (YTW) | Issues | Day’s Perf. | Index Value |
| Ratchet | 4.10% | 4.12% | 26,137 | 17.19 | 1 | -0.0796% | 1,044.0 |
| Fixed-Floater | 4.81% | 3.72% | 85,328 | 8.17 | 7 | -0.1903% | 1,042.0 |
| Floater | 4.48% | -20.50% | 55,143 | 3.34 | 5 | +0.0657% | 1,048.3 |
| Op. Retract | 4.71% | 2.40% | 74,002 | 2.06 | 18 | -0.0911% | 1,031.0 |
| Split-Share | 5.09% | 0.75% | 253,022 | 2.69 | 14 | -0.0561% | 1,045.2 |
| Interest Bearing | 6.47% | 3.53% | 60,141 | 2.36 | 5 | +0.0525% | 1,039.5 |
| Perpetual-Premium | 5.03% | 3.77% | 219,626 | 5.02 | 51 | -0.0350% | 1,054.2 |
| Perpetual-Discount | 4.52% | 4.55% | 1,098,440 | 15.49 | 11 | +0.0220% | 1,061.1 |
| Major Price Changes | |||
| Issue | Index | Change | Notes |
| There were no index-included issues with extraordinary performance today. | |||
| Volume Highlights | |||
| Issue | Index | Volume | Notes |
| CM.PR.J | PerpetualDiscount | 100,455 | Recent new issue. Now with a pre-tax bid-YTW of 4.53% based on a bid of $24.94 and a limitMaturity |
| WN.PR.B | OpRet | 43,790 | Credit watch negative! Scotia crossed 23,300 at $26.05, then Desjardines crossed 20,000 at the same price. Now with a pre-tax bid-YTW of 3.71% based on a bid of $26.00 and softMaturity 2009-6-30 at $25.00. That’s an interest equivalent of 5.19% at standard equivalency … I note that the Weston bonds, 6.45%/11, are trading 44bp back of Canadas, call it maybe 4.50%. |
| BMO.PR.J | PerpetualDiscount | 24,155 | Recent new issue. Now with a pre-tax bid-YTW of 4.51% based on a bid of $25.13 and either a call 2016-3-26 at $25.00, or a limitMaturity, take your pick. |
| RY.PR.A | PerpetualDiscount | 23,135 | Now with a pre-tax bid-YTW of 4.47% based on a bid of $24.95 and a limitMaturity. |
| RY.PR.D | PerpetualPremium | 22,700 | RBC bought 16,400 from various dealers in six tranches at $25.19-20 (and another 3,700 in three tranches later in the afternoon). Now with a pre-tax bid-YTW of 4.54% based on a bid of $25.12 and a limitMaturity. |
There were twenty-three other “$25 p.v. equivalent” index-included issues with over 10,000 shares traded today.